Using stochastic volatility models to analyse weekly ozone averages in Mexico City

In this paper we make use of some stochastic volatility models to analyse the behaviour of a weekly ozone average measurements series. The models considered here have been used previously in problems related to financial time series. Two models are considered and their parameters are estimated using a Bayesian approach based on Markov chain Monte Carlo (MCMC) methods. Both models are applied to the data provided by the monitoring network of the Metropolitan Area of Mexico City. The selection of the best model for that specific data set is performed using the Deviance Information Criterion and the Conditional Predictive Ordinate method.

Modelos de volatilidade estocástica em séries financeiras: uma aplicação para o IBOVESPA

Neste artigo apresentamos uma análise Bayesiana para o modelo de volatilidade estocástica (SV) e uma forma generalizada deste, cujo objetivo é estimar a volatilidade de séries temporais financeiras. Considerando alguns casos especiais dos modelos SV usamos algoritmos de Monte Carlo em Cadeias de Markov e o software WinBugs para obter sumários a posteriori para as diferentes formas de modelos SV. Introduzimos algumas técnicas Bayesianas de discriminação para a escolha do melhor modelo a ser usado para estimar as volatilidades e fazer previsões de séries financeiras. Um exemplo empírico de aplicação da metodologia é introduzido com a série financeira do IBOVESPA.

Safety Assessment of Potentially Inappropriate Medications (PIM) use in Older People and the Factors Associated with Hospital Admission

Purpose: Potentially Inappropriate Medications (PIM) use in elderly people may be responsible for the development of Adverse Drug Reaction (ADR) which, when severe, leads to hospital admissions. Objectives: to estimate the prevalence of elderly who had used PIM before being admitted to hospital and to identify the risk factors and the hospitalizations related to ADR arising from PIM. Methods: A descriptive and cross-sectional study was performed in the internal medicine ward of a teaching hospital (Brazil), in 2008. With the aid of a validated form, patients aged >= 60 years, with length of hospital stay >= 24 hours, were interviewed about drugs taken prior to the hospital admission and the complaints/reasons for hospitalization. Results: 19.1% (59/308) of older patients had taken PIM before hospital admission and in 4.9%; there were a causal relation between the PIM taken and the complaint reported. PIM responsible for admissions were: amiodarone, amitriptyline, cimetidine, clonidine, diazepam, digoxin, estrogen, fluoxetine, lorazepam, short-acting nifedipine and propranolol. 47.0% of the clinical manifestations of PIM-related ADR were: dizziness, fatigue, digoxin toxicity and erythema. Only polypharmacy was detected as a risk factor for the occurrence of ADR of PIM (p = 0.02). Conclusion: PIM use in elderly people is not a risk factor for ADR-related hospital admission. Probably, severe ADR, which lead to hospitalizations of older people, can be explained by idiosyncratic response or the predisposition of these patients to develop adverse drug events, whether or not drugs are classed as PIM.

The non-equilibrium nature of culinary evolution

Food is an essential part of civilization, with a scope that ranges from the biological to the economic and cultural levels. Here, we study the statistics of ingredients and recipes taken from Brazilian, British, French and Medieval cookery books. We find universal distributions with scale invariant behaviour. We propose a copy-mutate process to model culinary evolution that fits our empirical data very well. We find a cultural 'founder effect' produced by the non-equilibrium dynamics of the model. Both the invariant and idiosyncratic aspects of culture are accounted for by our model, which may have applications in other kinds of evolutionary processes.

Minor and Unsystematic Cortical Topographic Changes of Attention Correlates between Modalities

In this study we analyzed the topography of induced cortical oscillations in 20 healthy individuals performing simple attention tasks. We were interested in qualitatively replicating our recent findings on the localization of attention-induced beta bands during a visual task [1], and verifying whether significant topographic changes would follow the change of attention to the auditory modality. We computed corrected latency averaging of each induced frequency bands, and modeled their generators by current density reconstruction with Lp-norm minimization. We quantified topographic similarity between conditions by an analysis of correlations, whereas the inter-modality significant differences in attention correlates were illustrated in each individual case. We replicated the qualitative result of highly idiosyncratic topography of attention-related activity to individuals, manifested both in the beta bands, and previously studied slow potential distributions [2]. Visual inspection of both scalp potentials and distribution of cortical currents showed minor changes in attention-related bands with respect to modality, as compared to the theta and delta bands, known to be major contributors to the sensory-related potentials. Quantitative results agreed with visual inspection, supporting to the conclusion that attention-related activity does not change much between modalities, and whatever individual changes do occur, they are not systematic in cortical localization across subjects. We discuss our results, combined with results from other studies that present individual data, with respect to the function of cortical association areas.

An overview of the Amazonian Aerosol Characterization Experiment 2008 (AMAZE-08)

The Amazon Basin provides an excellent environment for studying the sources, transformations, and properties of natural aerosol particles and the resulting links between biological processes and climate. With this framework in mind, the Amazonian Aerosol Characterization Experiment (AMAZE-08), carried out from 7 February to 14 March 2008 during the wet season in the central Amazon Basin, sought to understand the formation, transformations, and cloud-forming properties of fine-and coarse-mode biogenic aerosol particles, especially as related to their effects on cloud activation and regional climate. Special foci included (1) the production mechanisms of secondary organic components at a pristine continental site, including the factors regulating their temporal variability, and (2) predicting and understanding the cloud-forming properties of biogenic particles at such a site. In this overview paper, the field site and the instrumentation employed during the campaign are introduced. Observations and findings are reported, including the large-scale context for the campaign, especially as provided by satellite observations. New findings presented include: (i) a particle number-diameter distribution from 10 nm to 10 mu m that is representative of the pristine tropical rain forest and recommended for model use; (ii) the absence of substantial quantities of primary biological particles in the submicron mode as evidenced by mass spectral characterization; (iii) the large-scale production of secondary organic material; (iv) insights into the chemical and physical properties of the particles as revealed by thermodenuder-induced changes in the particle number-diameter distributions and mass spectra; and (v) comparisons of ground-based predictions and satellite-based observations of hydrometeor phase in clouds. A main finding of AMAZE-08 is the dominance of secondary organic material as particle components. The results presented here provide mechanistic insight and quantitative parameters that can serve to increase the accuracy of models of the formation, transformations, and cloud-forming properties of biogenic natural aerosol particles, especially as related to their effects on cloud activation and regional climate.

A hybrid commodity price-forecasting model applied to the sugar-alcohol sector

Accurate price forecasting for agricultural commodities can have significant decision-making implications for suppliers, especially those of biofuels, where the agriculture and energy sectors intersect. Environmental pressures and high oil prices affect demand for biofuels and have reignited the discussion about effects on food prices. Suppliers in the sugar-alcohol sector need to decide the ideal proportion of ethanol and sugar to optimise their financial strategy. Prices can be affected by exogenous factors, such as exchange rates and interest rates, as well as non-observable variables like the convenience yield, which is related to supply shortages. The literature generally uses two approaches: artificial neural networks (ANNs), which are recognised as being in the forefront of exogenous-variable analysis, and stochastic models such as the Kalman filter, which is able to account for non-observable variables. This article proposes a hybrid model for forecasting the prices of agricultural commodities that is built upon both approaches and is applied to forecast the price of sugar. The Kalman filter considers the structure of the stochastic process that describes the evolution of prices. Neural networks allow variables that can impact asset prices in an indirect, nonlinear way, what cannot be incorporated easily into traditional econometric models.

Involvement of oxidative stress in the hepatotoxicity induced by aromatic antiepileptic drugs

The use of the classic aromatic antiepileptic drugs (AAEDs) has recently been expanded to a broad spectrum of psychiatric and neurological disorders. However, the clinical use of these drugs is limited by several adverse effects, mainly idiosyncratic hepatotoxicity. AAED-induced hepatotoxicity has been attributed to a defective detoxification by the epoxide hydrolase and accumulation of arene oxides. The underlying mechanism has been proposed as immune-mediated, but direct toxicity has also been suggested. In general, idiosyncratic drug-induced hepatotoxicity may be mediated, at least in part, by oxidative stress. On the other hand, the oxidative stress induced by the AAED metabolites has not been demonstrated yet. Therefore, in the present study we have evaluated the induction of oxidative stress by three classical AAEDs: carbamazepine. phenytoin and phenobarbital as well as by their metabolites. The toxic effects of the metabolites were evaluated by incubating the drug with rat liver microsomes. The AAED-induced oxidative stress was demonstrated by the increased malondialdehyde levels, oxidation of cardiolipin; oxidation of sulfhydryl proteins and alteration of the cellular redox status. Results suggest that the hepatotoxicity associated with AAED might be mediated by the oxidative stress induced by the drugs metabolites. (C) 2008 Elsevier Ltd. All rights reserved

Price dispersion and price indexes

The traditional theory of price index numbers is based on the law of one price. But in the real world, we frequently observe the existence of an equilibrium price dispersion instead of one price of equilibrium. This article discusses the effects of price dispersion on two price indexes: the cost of living index and the consumer price index. With price dispersion and consumer searching for the lowest price, these indexes cannot be interpreted as deterministic indicators, but as stochastic indicators, and they can be biased if price dispersion is not taken into account. A measure for the bias of the consumer price index is proposed and the article ends with an estimation of the bias based on data obtained from the consumer price index calculated for the city of Sao Paulo, Brazil, from January 1988 through December 2004. The period analysed is very interesting, because it exhibits different inflationary environments: high levels and high volatility of the rates of inflation with great price dispersion until July 1994 and low and relatively stable rates of inflation with prices less dispersed after August 1994.

Inflation targeting in emerging economies: What do the data say?

In a recent thought-provoking paper, Ball and Sheridan [Ball, L., Sheridan, N., 2005. Does inflation targeting matter? In: Bernanke, B.S., Woodford, M. (Eds.), The Inflation-Targeting Debate, University of Chicago Press] show that the available evidence for a group of developed economies does not lend credence to the belief that adopting an inflation targeting regime (IT) was instrumental in bringing inflation and inflation volatility down. Here, we extend Ball and Sheridan`s analysis for a subset of 36 emerging market economies and find that, for them, the story is quite different. Compared to non-targeters, developing countries adopting the IT regime not only experienced greater drops in inflation, but also in growth volatility, thus corroborating the view that the regime`s ""constrained flexibility"" to deal with adverse shocks delivered concrete welfare gains. (c) 2006 Elsevier B.V. All rights reserved.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET

We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of the system is grounded upon a heterogeneous interacting agent model for a single risky asset market. An advantage of this construction procedure is that the resulting dynamical system becomes a macroscopic market model which mirrors the market quantities and qualities that would typically be taken into account solely at the microscopic level of modeling. The system`s parameters correspond to: (a) the proportion of speculators in a market; (b) the traders` speculative trend; (c) the degree of heterogeneity of idiosyncratic evaluations of the market agents with respect to the asset`s fundamental value; and (d) the strength of the feedback of the population excess demand on the asset price update increment. This correspondence allows us to employ our results in order to infer plausible causes for the emergence of price and demand fluctuations in a real asset market. The employment of dynamical systems for studying evolution of stochastic models of socio-economic phenomena is quite usual in the area of heterogeneous interacting agent models. However, in the vast majority of the cases present in the literature, these dynamical systems are one-dimensional. Our work is among the few in the area that construct and study analytically a two-dimensional dynamical system and apply it for explanation of socio-economic phenomena.